基于艾略特波浪理论的交易策略 - 页 125

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来自近似模型（期望函数）的随机变量（价格）的散点不能小于随机变量本身的散点（Close[i]-Close[i+1]的平方之和）。

"不能少"--这已经是标准本身了吗？还是说这只是一个定理的陈述？

关键是，就我的理解，它并不适用于本案。该准则可用于寻找对近似曲线足够的多项式阶数。但是这条曲线将近似于轨迹。你能想象一个多项式的阶数，能以平滑的形式复制轨迹的行为吗？
 
简单地说，你叫人试穿了吗？
 
你是否要求进行简单的装配？

:-)
 
一本完全符合支部主题（寻找解决方案）的书。除了统计问题外，还有Excel、Mathcad和Statistica的计算实例。
我没有在巨型列表中找到任何东西。

 
是的，我还在亚马逊上找到了它 -http://www.ozon.ru/context/detail/id/1908057/
 
是的，我还在亚马逊上找到了它 -http://www.ozon.ru/context/detail/id/1908057/

Rosh，你能扫描一下目录吗？我很想看到它。要通过Ozone发送，需要很长的时间。但也许你可以在不久的将来对这本书做一个评论。也就是说，你认为什么才是有用的？
 
做了一个10张未处理照片的存档，但太大了（超过6MB），所以我可能以后再发。不过我确实处理了关于这个主题的一个页面。

 
保存在2个档案库中的图片（9页内容），共计1100 kB

https://c.mql5.com/mql4/forum/2006/08/soderz.zip
从1到5

https://c.mql5.com/mql4/forum/2006/08/soderz2.zip
从6到9
 
我发现一个用回归通道交易的EA（它是这么说的），从20.04.05开始
我正在使用MQL-II，但也许有人会需要它。作者没有列出，我不记得我从哪里得到的。

/*[[
VC-1hr
Lots := 0.1
Notes := Use in H1 timeframe.
Update on every tick := Yes
Enable Alerts := Yes
Disable alert once hit := No
Lots := 1
Stop Loss := 999
Take Profit := 200
Trailing Stop := 999
]]*/


// ====================================================================================================
// DECLARATION AND ASSIGNMENT
// ====================================================================================================

defines: Risk(1),mm(1),maxTradesPerPair(1);
Inputs : NumberName(1), iPeriod(21), MAShoot(50), DrawVertical(0), DrawText(0), ShowMA(0), LineWeight(1), BarsCount(0);
vars: spread(0),
Slippage(5),
sl(0),tp(0),
mode(0),
lastHigh(0),lastLow(0),lastOpen(0),lastClose(0),
target(0),
entryTS(0),
cnt(0),
first(0),
lotMM(0),
tHour(0),
CurrentTrades(0),
AccountIsMini(False);  // See comments near assignment statement below.

Var : shift(0), n_begin(0), n_end(0), n(0), a_(0), b_(0), a1(0), a2(0), a3(0), b1(0);
var : y1(0), y2(0), price(0), BarBegin(100), BarEnd(1);
var : tmp_div_high(0), tmp_div_low(0), stddiv_low(0),  stddiv_high(0), tmp_div(0);
var : x_n_up(0), x_n_down(0), x_1_up(0), x_1_down(0);
var : check_upper_chanel(false), color_1(0), color_2(0), name(""), angle(0), ratio(0), ratio_currency(0);
Var : MA(0), value(0), Bars_(170), check_low(false), check_high(false);
Var : save_low(0), save_high(0), save_shift_low(0), save_shift_high(0), save_shift(0);
Var : MAType(0), MAPrice(0);

//================================================================================================================
SetLoopCount(0);
comment("Auto Regression channel");

if BarsCount < 1 then Bars_ = Bars
else Bars_ = BarsCount;

save_low = -1;
save_high = -1;
save_shift_low = -1;
save_shift_high = -1;

check_low = false;	
check_high = false;	

MAType = MODE_SMA;
MAPrice = PRICE_CLOSE;

if Close[1] > 80 then ratio_currency = 100
else ratio_currency = 10000;

For shift = Bars_-1 Downto 0 Begin
	MA = iMAEx(iPeriod, MAType, 0, MAPrice, shift);
	
	if ShowMA then SetIndexValue(shift, MA);
	
	if MA - MAShoot/ratio_currency > Close[shift] then
	{
			
		if Close[Shift] < save_low or save_low = -1  then
		{
			check_low = true;
					
			save_low = close[Shift];
			save_shift_low = shift;
		};		
	};
	
	if MA  +  MAShoot/ratio_currency< Close[shift] then
	{
		if save_high < Close[Shift] or save_high = -1 then
		{
			check_high = true;	
			
			save_high = close[Shift];
			save_shift_high = shift;
		};
	};

	if check_low then
	{	
		if MA + MAShoot/ratio_currency < Close[shift] then 
		{
			check_low = false;	
			save_low = -1;
		};
	};
	
	if check_high then
	{
		if MA - MAShoot/ratio_currency > Close[shift] then 
		{						
			check_high = false;	
			save_high = -1;
		};
	};
	
End;

if save_shift_low > save_shift_high then
{
	n_begin = save_shift_low;
	n_end = save_shift_high;
}
else
{
	n_begin = save_shift_high;
	n_end = save_shift_low;
};

if n_end = 0 then n_end = 1; 
n = (n_begin - n_end + 1); 

a1 = 0;
a2 = 0;
a3 = 0;
b1 = 0;
a_ = 0;
b_ = 0;
y1 = 0;
y2 = 0;
tmp_div_high = 0;
tmp_div_low = 0;
tmp_div = 0;

if close[n_begin] < close[n_end] then check_upper_chanel = true
else check_upper_chanel = false;

For shift = n_begin Downto n_end Begin
	if check_upper_chanel then price = low[shift]
	else price = high[shift];
	
	a1 = a1 + shift*price;
	a2 = a2 + shift;
	a3 = a3 + price;
	b1 = b1 + shift*shift;
End;

b_ = (n*a1 - a2*a3)/(n*b1 - a2*a2);
a_ = (a3 - b_*a2)/n;
y1 = a_ + b_*n_begin;
y2 = a_ + b_*n_end;

MoveObject(	"Regression_middle" + NumberName, OBJ_TRENDLINE, Time[n_begin], y1, Time[n_end], y2, yellow, LineWeight, STYLE_SOLID);	

For shift = n_begin Downto n_end Begin
	if check_upper_chanel then price = low[shift]
	else price = high[shift];
	
	tmp_div = tmp_div + (price - (a_ + b_*shift))*(price - (a_ + b_*shift));	
End;	

stddiv_low = sqrt(tmp_div/n);
stddiv_high = sqrt(tmp_div/n);

x_n_up = y1 + 2*stddiv_high;
x_1_up = y2 + 2*stddiv_high;

x_n_down = y1 - 2*stddiv_low;
x_1_down = y2 - 2*stddiv_low;

if check_upper_chanel then  {
	color_1 = blue;
	color_2 = red;
}else{
	color_1 = red;
	color_2 = blue;
};
	
//upper
MoveObject(	"Regression_upper" + NumberName, OBJ_TRENDLINE, Time[n_begin], x_n_up, Time[n_end], x_1_up, color_1, LineWeight, STYLE_SOLID);	
//lower
MoveObject(	"Regression_lower" + NumberName, OBJ_TRENDLINE, Time[n_begin], x_n_down, Time[n_end], x_1_down, color_2, LineWeight, STYLE_SOLID);	

if  DrawText then
{	
	name = "Regression_bars_begin" + NumberName;
	MoveObject(name, OBJ_TEXT, Time[n_begin], x_n_down, Time[n_begin], x_n_down, red, 1, STYLE_SOLID);			
	SetObjectText(name, NumberToStr(n_begin,0), "System", 10, White);	
		
	name = "Regression_bars_end" + NumberName;
	MoveObject(name, OBJ_TEXT, Time[n_end], x_1_up, Time[n_end], x_1_up, red, 1, STYLE_SOLID);			
	SetObjectText(name, NumberToStr(n_end,0), "System", 10, White);	
}else{
	DelObject("Regression_bars_end" + NumberName, 0, 0, 0, 0);
	DelObject("Regression_bars_begin" + NumberName, 0, 0, 0, 0);
}

if DrawVertical then
{
	MoveObject(	"Regressin_begin" + NumberName, OBJ_VLINE, 	Time[n_begin], y1, Time[n_begin], y2, 	silver, 1, STYLE_DOT);	
	MoveObject(	"Regressin_end" + NumberName, OBJ_VLINE, 	Time[n_end], y1, Time[n_end], y2, 	silver, 1, STYLE_DOT);	
}else{
	DelObject("Regressin_begin" + NumberName, 0, 0, 0, 0);
	DelObject("Regressin_end" + NumberName, 0, 0, 0, 0);
}

//================================================================================================================


entryTS   = 4 * Point;          // Entry trailing stop - points
target    = TakeProfit * Point; // Profit target - points
lastHigh  = High[1];            // Last bar high
lastLow   = Low[1];             // Last bar low
lastOpen  = Open[1];            // Last bar open
lastClose = Close[1];           // Last bar close
spread    = Ask - Bid;          // Spread



// ====================================================================================================
// VALIDATION
// ====================================================================================================

if CurTime - LastTradeTime < 300 Then Exit;
if Bars < 100 or TakeProfit < 10 then Exit;
if IsIndirect(Symbol) = True then Exit;

if TrailingStop < 5 then
{
  print("invalid Trailing Stop");
  Exit;
};

// ====================================================================================================
// DATE CHOKE - For testing purposes
// ====================================================================================================
if TimeYear(time[0]) < 2004 then Exit;

// ====================================================================================================
// PYRAMIDING - LINEAR
// Money management risk exposure compounding
// ====================================================================================================

AccountIsMini = False; // Change to False for real trading w/ 100k/regular account
                       //        or for all backtesting, since backtests allow
                       //        fractional lots.
                       // Change to True for real trading w/ mini account

if mm <> 0 then 
{
  lotMM = Ceil(Balance * risk / 10000) / 10;

  if lotMM < 0.1 then lotMM = lots;

  if lotMM > 1 then lotMM = Ceil(lotMM);

  if AccountIsMini then lotMM = lotMM * 10;

  if lotMM > 100 then lotMM = 100;
}
else {
  lotMM = Lots; // Change mm to 0 if you want the Lots parameter to be in effect
};

// ====================================================================================================
// OPEN ORDER CHECK -
// Each instance of a script is attached to one currency pair.
// When this check executes, it sets CurrentTrades to 1 so that
// only one trade for this symbol will be open, which is enforced
// by "if CurrentTrades = 0".
// ====================================================================================================

CurrentTrades = 0;

for cnt = 1 to TotalTrades
{ 
  if OrderValue(cnt,VAL_SYMBOL) = Symbol then
  {
    CurrentTrades = CurrentTrades + 1; 
  };
};

// ====================================================================================================
// TRADE ENTRY
// ====================================================================================================

if CurrentTrades < maxTradesPerPair then
{
  //LONG TRADES ENTRY CRITERIA

  if //lastOpen < lastClose        and  // Last bar bullish, open less than close;
     check_upper_chanel = true   and  // Ask above lastHigh, and SAR less than Ask,
     y2 > Close     and  // then request order.
     tHour != TimeHour(time[0])  then
  {
    tHour=TimeMinute(time[0]);

    // Set stoploss to last bar low so that Bid must hit lastLow to exit.

    sl = x_1_down - (2 * point);
    tp = Ask + target;
  
    SetOrder(OP_BUY,
             lotMM,
             Bid,
             Slippage,
             sl,
             tp,
             LIME);
    Exit;
  };

  //SHORT TRADES ENTRY CRITERIA

  if //lastOpen > lastClose       and  // Last bar bearish, open greater than close;
     check_upper_chanel = False and  // if Bid below lastLow, and SAR greater than Bid,
     y2  < Close  and // then request order.
     tHour != TimeHour(time[0]) then
  {
    tHour=TimeMinute(time[0]);

    // Set stoploss to last bar high so that Ask must hit lastHigh to exit.

    sl = x_1_up + (2 * point);
    tp = Bid - target;

    SetOrder(OP_SELL,
             lotMM,
             Ask,
             Slippage,
             sl,
             tp,
             RED);
    Exit;
  }; 
}; // end of if CurrentTrades < maxTradesPerPair

// ====================================================================================================
// TRAILING STOP UPDATE
// ====================================================================================================

if CurrentTrades = 0 then exit;

for cnt = 1 to TotalTrades
{ 
  if OrderValue(cnt,VAL_SYMBOL) = Symbol then 
  {
    if OrderValue(cnt,VAL_TYPE) = OP_BUY then 
    {
      // If Bid - Open is now higher than entryTS pips profit,
      // and the stop loss order is lower than
      // entryTS pips below the Bid, then adjust the stop loss part of
      // the order to the Bid - entryTS pips

      if (Bid - OrderValue(cnt,VAL_OPENPRICE)) > (entryTS) then
      {
        if OrderValue(cnt,VAL_STOPLOSS) < x_1_down then
        {
          ModifyOrder(OrderValue(cnt,VAL_TICKET),
                      OrderValue(cnt,VAL_OPENPRICE),
                      x_1_down - (2 * point),
                      OrderValue(cnt,VAL_TAKEPROFIT),
                      BLUE);
          Exit;
        }; 
      };
      
      // if Stop Loss > Open Price then Set Takeprofit 

      if OrderValue(cnt,VAL_STOPLOSS) >= OrderValue(cnt,VAL_OPENPRICE) then
      {
        ModifyOrder(OrderValue(cnt,VAL_TICKET),
                    OrderValue(cnt,VAL_OPENPRICE),
                    OrderValue(cnt,VAL_STOPLOSS),
                    Ask + TakeProfit * Point,
                    BLUE);
        Exit;
      };
    }; // end OP_BUY check

    if OrderValue(cnt,VAL_TYPE) = OP_SELL then
    {
      // If Open - Ask is now higher than entryTS pips profit,
      // and the stop loss order is higher than
      // entryTS pips above the Ask, then adjust the stop loss part of
      // the order to Ask + entryTS pips

      if (OrderValue(cnt,VAL_OPENPRICE) - Ask) > (entryTS) then
      {
        if OrderValue(cnt,VAL_STOPLOSS) > x_1_up then
        {
          ModifyOrder(OrderValue(cnt,VAL_TICKET),
                      OrderValue(cnt,VAL_OPENPRICE),
                      x_1_up + (2 * point),
                      OrderValue(cnt,VAL_TAKEPROFIT),
                      BLUE);
          Exit;
        };
      };

      // if Stop Loss < Open Price then Set Takeprofit 

      if OrderValue(cnt,VAL_STOPLOSS) <= OrderValue(cnt,VAL_OPENPRICE) then
      {
        ModifyOrder(OrderValue(cnt,VAL_TICKET),
                    OrderValue(cnt,VAL_OPENPRICE),
                    OrderValue(cnt,VAL_STOPLOSS),
                    Bid - TakeProfit * Point,
                    BLUE);
        Exit;
      };
    };  // end OP_SELL check
  }; // end Symbol check
}; // end for cnt=1 to TotalTrades


 
做了一个10张未处理照片的存档，但太大了（超过6MB），所以我可能以后再发。不过我确实编辑了一个关于这个主题的页面：<br / translate="no">。


书中所述的假设有一个相当严重的不准确之处（就我从出版的页面上看到的）（IMHO：对过程的本质有误解）。关键是，价格不是时间的函数。不管怎么说，要想确凿地证明这一点是不可能的。
在我所描述的那份声明中，该方法建立在这样的假设之上：不可能可靠地定义价格是什么参数的函数。另一个假设是，价格是外部因素叠加的一个函数。我们试图对价格的变化进行近似分析，并将其与时间的变化联系起来，这不是一回事。换句话说，时间不是一个独立（可变）变量，而是取决于几个因素。它意味着在事件发生的那一刻，系统的一些内部时间。一个外部观察者在其坐标系统中从外部观察这一切，可以得出绝对错误的结论。例如：我们站在一条路上，数着任何一个方向上经过的汽车数量。当然在一些信息的基础上，我们可以说轨道上通过的汽车数量是时间的函数，但事实如此吗？我特别举了一个例子，其荒谬性是显而易见的。这里的一切都比较复杂；）。

问候，弗拉迪斯拉夫。
好运和快乐的趋势。
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